MORTGAGE MONITOR - Black Knight, Inc. · November’s 10-year low in mortgage prepayment activity. As refinance incentive continues to decline, 2018 has become the most purchase-dominant

NOVEMBER 2018 REPORT

MORTGAGE MONITOR

https://www.blackknightinc.com/data-reports/?report-type=mortgage-monitor&report-year=2018

https://www.blackknightinc.com/

Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2019 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

MORTGAGE MONITOR

NOVEMBER 2018 | 2Confidential, Proprietary and/or Trade Secret TM SM ® Trademark(s) of Black Knight IP Holding Company, LLC, and/or an affiliate. © 2019 Black Knight Financial Technology Solutions, LLC. All Rights Reserved.

Each month, the Black Knight Mortgage Monitor looks at a variety of issues related to the mortgage finance and housing industries.

This month, as always, we begin with a review of some of the high-level mortgage performance statistics reported in our most recent First Look report, with an update on delinquency, foreclosure and prepayment trends. From there, we then take a detailed look at what’s driving November’s 10-year low in mortgage prepayment activity.

As refinance incentive continues to decline, 2018 has become the most purchase-dominant market in 18 years. That being the case, we then examine how this shift in the origination blend could potentially impact mortgage performance moving forward. Finally, as the housing market continues to react to a rising interest rate environment, we dive in to the most recent numbers from the Black Knight Home Price Index to identify the markets/regions seeing the most impact.

In producing the Mortgage Monitor, Black Knight’s Data & Analytics division aggregates, analyzes and reports upon the most recently available mortgage performance data from the company’s McDash loan-level database. For more information on McDash or Black Knight in general, please call 844-474-2537 or email [email protected].

NOVEMBER 2018 OVERVIEW

MORTGAGE MONITOR

NOVEMBER FIRST LOOK RELEASE

PREPAYMENT BREAKDOWN

THE SHIFTING ORIGINATION MARKET

BLACK KNIGHT HPI UPDATE

APPENDIX

DISCLOSURES

3

4

10

14

19

22

CONTENTS




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MORTGAGE MONITOR

NOVEMBER 2018 | 3

Here we have an overview of findings from Black Knight’s ‘First Look’ at November mortgage performance data. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database. You may click on each chart to see its contents in high-resolution.

NOVEMBER 2018 FIRST LOOK RELEASE

Prepayment activity fell to its lowest level since November 2008 as refinances dwindled and home sales experienced a seasonal decline.

NOVEMBER OVERVIEW STATS

CHANGE IN DELINQUENCY RATE

Despite a slight increase, delinquencies remain 19% below last year’s level

Serious delinquencies (90+ days past due) also rose slightly

TOTAL FORECLOSURE STARTS

Starts fell after October’s rise from a nearly 18-year low

Approximately 45K starts were initiated

PREPAYMENT ACTIVITY

In addition to the monthly decline, activity is also down 33% from last year

Prepayments have fallen to a 10-year low

-15%-10.7%1.8%



https://www.blackknightinc.com/black-knights-first-look-at-november-2018-mortgage-data/


https://www.blackknightinc.com/wp-content/uploads/2019/01/BKI_MM_Nov2018_Chart01.pdf




MORTGAGE MONITOR

NOVEMBER 2018 | 4

Here, we take a detailed look at what’s driving November’s 10-year low in mortgage prepayment activity. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database. You may click on each chart to see its contents in high-resolution.

NOVEMBER 2018 PREPAYMENT BREAKDOWN

» Among 2004-2007-era ARMs – almost all of which are beyond their initial fixed rate periods – prepayment activity was up 3% year-over-year while fixed-rate prepays were down 34%

» Rising short-term interest rates driving upward adjustments to ARM-holders' monthly payments have increased both refinance pressure and housing turnover among these homeowners

» For similar reasons, prepayment speeds among legacy private labeled securities (PLS) have held relatively strong as well

» Prepays on PLS loans were >50% above the market average in November and higher than GSE, GNMA and Portfolio loans in each of the past 23 months

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PREPAYMENT RATE (SMM) BY INTEREST TYPE<620 620-679 680-719 720+

PREPAYMENT RATE (SMM) BY INTEREST TYPELike the market as a whole, prepays among fixed-rate mortgages hit a 10-year low in November, whereas among adjustable rate mortgages (ARMs), they remain relatively high






MORTGAGE MONITOR

NOVEMBER 2018 | 5


» Higher credit score cohorts (720+), had led the market in prepay speeds for nearly four consecutive years

» This group has now had the lowest rate of single month mortality (SMM) in 10 of the past 12 months

» Part of this shift can be attributed to the decline in refinance incentive in a rising rate environment, but it’s also worth a closer look at how prepay drivers have changed overall

While prepayments have declined by 58% from two years ago among high credit score borrowers, they're down just 14% among those with <620 credit scores

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PREPAYMENT RATE (SMM) BY INTEREST TYPE<620 620-679 680-719 720+

PREPAYMENT RATE (SMM) BY INTEREST TYPE





MORTGAGE MONITOR

NOVEMBER 2018 | 6


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SMM (IN BPS) ATTRIBUTED TO RATE/TERM REFINANCES(BY CREDIT SCORE BUCKET)

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SMM (IN BPS) ATTRIBUTED TO CASH-OUT REFINANCES(BY CREDIT SCORE BUCKET)


» Digging deeper, we see several reasons that high credit score prepays now trail the rest of the market

» Rate/term refinance activity among this cohort, once as high as >40% above the market average, has fallen below market average in six of the past seven months

» High credit score borrowers tend to be more proactive in refinancing to take advantage of lower interest rates, but that activity also tends to fall off more quickly as rates rise

» In addition, these borrowers are refinancing to pull cash out less frequently per capita, despite holding the majority of tappable equity

» In fact, cash-out driven prepays among 720+ credit score borrowers has been below market average in each of the past 16 months

» This suggests that though equity is more likely to be held by high credit score borrowers, those with lower scores are more likely to tap into it

SMM (IN BPS) ATTRIBUTED TO RATE/TERM REFINANCES(BY CREDIT SCORE BUCKET)

SMM (IN BPS) ATTRIBUTED TO CASH-OUT REFINANCES(BY CREDIT SCORE BUCKET)






MORTGAGE MONITOR

NOVEMBER 2018 | 7


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SMM (IN BPS) ATTRIBUTED TO HOUSING TURNOVER(BY CREDIT SCORE BUCKET)


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SMM (IN BPS) ATTRIBUTED TO DEFAULT ACTIVITY(BY CREDIT SCORE BUCKET)


» Housing turnover related prepays have gone from >10% above the market average less than 18 months ago, to just 1% over market average as of Q3 2018

» Along with deficits in both rate/term and cash-out driven prepays, this has led to the inversion in prepay activity from a credit score perspective

» The delta between housing turnover among high and lower credit score cohorts has been slimming in recent years

» While default-driven prepayments have improved across the credit spectrum, among 720+ credit score borrowers, they fell to 0.01%, the lowest level since 2006 and roughly ¼ the total market average

» Additionally, default-driven prepays are also lower among higher credit scores, further increasing the deficit

SMM (IN BPS) ATTRIBUTED TO DEFAULT ACTIVITY(BY CREDIT SCORE BUCKET)

SMM (IN BPS) ATTRIBUTED TO HOUSING TURNOVER(BY CREDIT SCORE BUCKET)






MORTGAGE MONITOR

NOVEMBER 2018 | 8


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PREPAY ACTIVITY (SMM) BY CAUSE OF PREPAYMENT(24-MONTH DETAILED BREAKDOWN)

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PREPAY ACTIVITY (SMM) BY CAUSE OF PREPAYMENTRate/Term Refi Cash-out Refi Sale of Home Curtailment Default

» Only 6BPS of SMM in September 2018 was driven by rate/term refinances as rising rates continue to wipe out interest rate incentive

» This is the lowest single-month volume of rate/term driven SMM since Black Knight began tracking the metric in 2005 and is down >90% in less than two years

» Cash-out driven prepays are also down, falling 30% year-over-year over the past three months, driving just 17BPS of SMM in September

» Together, September's 23BPS of total refinance driven SMM is also the lowest on record

» While still accounting for over half of all prepayment activity, housing turnover driven prepays have fallen by 3% annually on average over the past six months

» September's housing turnover driven prepays were more than 10% below last year's levels

» This suggests the decline in existing housing sales may be even more acute among mortgage holders, who are noticeably absent in peak selling years due to rising rates and tightening affordability making holding on to their current homes/low rates more attractive

PREPAY ACTIVITY (SMM) BY CAUSE OF PREPAYMENT(24-MONTH DETAILED BREAKDOWN) PREPAY ACTIVITY (SMM) BY CAUSE OF PREPAYMENT






MORTGAGE MONITOR

NOVEMBER 2018 | 9


» The average interest rate on a new 30-year fixed mortgage fell more than 30BPS, to 4.55%, at the end of December

» This resulted in interest rate incentive to refinance returning to approximately 550K homeowners who could likely qualify

» Black Knight defines a refinanceable borrower as one who would likely meet broad-based eligibility criteria and also reduce their first mortgage interest rate by at least 0.75% by refinancing

» While this represents a 29% increase from what had been a 10-year low, the total number of refinance candidates is still down by nearly 50% (2.3M) from last year

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REFINANCE CANDIDATES IN MILLIONSRefinance Candidates (left axis) Freddie 30-Year Fixed Rate (right axis)

REFINANCE CANDIDATES IN MILLIONS

As of the end of December, 2.4 million homeowners could both likely qualify for and benefit from refinancing





MORTGAGE MONITOR

NOVEMBER 2018 | 10

As refinance incentive continues to decline, 2018 has become the most purchase-dominant market in 18 years. Here we examine how this shift in the origination blend could potentially impact mortgage performance moving forward. This information has been compiled from Black Knight’s McDash loan-level mortgage performance database. You may click on each chart to see its contents in high-resolution.

NOVEMBER 2018 THE SHIFTING ORIGINATION MARKET

51% 52% 49% 49%37% 35% 36%

29% 33%

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64%

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DISTRIBUTION OF ORIGINATIONS BY LOAN PURPOSEPurchase Cash-out Refinance Rate/Term Refinance

76%

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PURCHASE SHARE OF ALL MORTGAGE ORIGINATIONS

» Nearly 4.8M mortgages were originated through the first three quarters of 2018, some 64% of which were purchase originations

» This represents the highest purchase share of the market since 2000, when over ¾ of lending was related to home purchases

» With higher interest rates limiting refinance opportunities – even with the +29% growth we’ve seen in recent weeks – this trend is expected to continue in the near/mid-term

» Just 8.5% of originations over the past nine months have been rate/term refinances, the lowest share since at least 2005, when Black Knight began tracking the metric

» Cash-out refinances made up 27% of all originations this year, up fractionally from 2017 and the highest share for any year since 2008

DISTRIBUTION OF ORIGINATIONS BY LOAN PURPOSEPURCHASE SHARE OF ALL MORTGAGE ORIGINATIONS

Source: Realtor.com residential listings database







MORTGAGE MONITOR

NOVEMBER 2018 | 11



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DELINQUENCY RATE 12-MONTHS AFTER ORIGINATIONPurchase Rate/Term Refinance Cash-Out Refinance

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DELINQUENCY RATE 12-MONTHS AFTER ORIGINATIONActual Performance Example Scenario with 2018 Loan Purpose Blend

» As refinance originations decline while purchase lending continues to grow, it's worth exploring how that may impact overall mortgage performance

» Both cash-out and rate/term refinances have been performing noticeably better than their purchase mortgage counterparts in recent years

» This is in large part driven by the greater share of FHA loans among purchase lending, which tend to have higher delinquency rates

» Here, we apply the 2018 YTD market blend (64% purchase; 27% cash-out; 9% rate/term refi) to prior vintages, looking at actual performance seen for each vintage in each loan purpose bucket

» A 2018 market blend would have resulted in an increase in the number of non-current mortgages by anywhere from 2% in 2017 to a more than a 30% rise in 2012, when refinances made up more than 70% of all lending

» The only exception is the 2014 vintage, where a 2018 blend results in a relatively neutral impact (<-1%), due to strong cash-out refi performance and an already elevated purchase blend (as a result of a recent spike in interest rates that year)

DELINQUENCY RATE 12-MONTHS AFTER ORIGINATION DELINQUENCY RATE 12-MONTHS AFTER ORIGINATION






MORTGAGE MONITOR

NOVEMBER 2018 | 12



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Average 30-Year Interest Rate Purchase Rate/Term Refi CashOut Refi Total Market

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WEIGHTED AVERAGE CREDIT SCORE BY LOAN PRODUCT(COMPARISON TO AVERAGE 30-YEAR FIXED INTEREST RATE OVER TIME)

Average 30-Year Fixed Rate Cash-Out Refinance Purchase Rate / Term Refinance

» As mentioned earlier in this report, high credit score borrowers tend to be more proactive in refinancing to take advantage of lower interest rates, but that activity also tends to fall off more quickly as rates rise

» Likewise, as rates rise, average refinance credit scores tend to decline as well

» This was clear following the "taper tantrum" in late 2013/early 2014 when, following a roughly 1% rise in rates, the average credit score declined by 15 points among rate/term refinances and 11 points among cash-outs

» Note: a more widespread decline in cash-out refinance credit scores is being observed as well, which does not appear to be fully driven by rising rates

» Correspondingly, the 12-month moving average delinquency rate of rate/term refis at six months after origination increased by more than 50% within a 12-month span, actually surpassing that of the market as a whole

» A similar, although not as pronounced, increase was observed among cash-out refis as well

» On a positive note, as rates rise, refinances typically decline, which tends to limit the overall market impact

DELINQUENCY RATE AT 6 MONTHS AFTER ORIGINATION(BY LOAN PURPOSE – 12 MONTH MOVING AVERAGE)

WEIGHTED AVERAGE CREDIT SCORE BY LOAN PRODUCT(COMPARISON TO AVERAGE 30-YEAR FIXED INTEREST RATE OVER TIME)






MORTGAGE MONITOR

NOVEMBER 2018 | 13

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ARM SHARE OF FIRST LIEN MORTGAGE ORIGINATIONS(WITH INTEREST RATE OVERLAY)

ARM Share of Originations 30-Year Fixed Rate 5/1 ARM Rate Fixed vs. ARM Rate Spread

» Though rising interest rates typically correspond with an increase in the ARM share of mortgage originations, that share dipped to 5.2% in Q3 2018, slightly below the 5-year average

» Tightening affordability tends to cause a measurable portion of borrowers to opt for ARMs due to lower introductory rates and a boost in buying power, but rising ARM interest rates have kept us from seeing a noticeable shift, at least so far

» Rising short term and 5/1 ARM rates are likely a factor, having kept up with and even outpacing rate increases among 30-year fixed products in recent months, causing the fixed vs. 5/1 ARM spread to hold steady and even pull back slightly Q/Q

» ARMs may also not be acting as much to increase buying power as borrowers are required to be underwritten to the fully indexed rate

» That said, many ARMs in more recent vintages have extended fixed periods, which continues to make them attractive products

ARM SHARE OF FIRST LIEN MORTGAGE ORIGINATIONS(WITH INTEREST RATE OVERLAY)

ARM lending remains prominent among jumbo mortgages, where nearly 30% of loans are adjustable, but hasn’t picked up much among those below conforming limits






MORTGAGE MONITOR

NOVEMBER 2018 | 14

As the housing market continues to react to a rising interest rate environment, we dive in to the most recent numbers from the Black Knight Home Price Index (HPI) to identify the markets/regions seeing the most impact. This information has been compiled from Black Knight’s HPI. You may click on each chart to see its contents in high-resolution.

NOVEMBER 2018 BLACK KNIGHT HPI UPDATE

2.5%

3.0%

3.5%

4.0%

4.5%

5.0%

2%

4%

6%

8%

10%

2012-0

8

2012-1

0

2012-1

2

2013-0

2

2013-0

4

2013-0

6

2013-0

8

2013-1

0

2013-1

2

2014-0

2

2014-0

4

2014-0

6

2014-0

8

2014-1

0

2014-1

2

2015-0

2

2015-0

4

2015-0

6

2015-0

8

2015-1

0

2015-1

2

2016-0

2

2016-0

4

2016-0

6

2016-0

8

2016-1

0

2016-1

2

2017-0

2

2017-0

4

2017-0

6

2017-0

8

2017-1

0

2017-1

2

2018-0

2

2018-0

4

2018-0

6

2018-0

8

2018-1

0

Fred

die

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ear F

ixed

Inte

rest

Rat

e

Annu

al R

ate

of H

ome

Pric

e Ap

prec

iatio

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As of Month

Annual Rate of Home Price Appreciation (left axis) 30-Year Fixed Rate

HOME PRICE APPRECIATION VS. 30-YEAR FIXED INTEREST RATE

-0.25%

0.25%

0.75%

1.25%

1.75%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

Jan

Mar

May Ju

l

Sep

Nov

Jan

Mar

May Ju

l

Sep

Nov

Jan

Mar

May Ju

l

Sep

Nov

Jan

Mar

May Ju

l

Sep

Nov

Jan

Mar

May Ju

l

Sep

Nov

Jan

Mar

May Ju

l

Sep

2013 2014 2015 2016 2017 2018

BLACK KNIGHT HOME PRICE INDEXOne-Month Home Price Change (right axis) Annual Rate of Home Price Appreciation (left axis)

» Home prices were effectively flat M/M (+0.01%) in October, and in fact had been so over the prior four months (+0.01%)

» While fall & winter are typically slow times of the year for home price growth, this is the most tepid 4-month stretch of growth in nearly four years

» Annual home price gains continue to slow, decelerating by 1.3% over the past 8 months, from a 4-year high of 6.7% in February to 5.4% Y/Y in October and slowing rapidly

» Additional near-term pressure may be on the way as affordability hit a new low point as interest rates rose to 4.87% on average in November

» Rates have since pulled back noticeably in December, bringing the average monthly payment to buy the average-priced home down $46 from November's 11-year high

» Even with December's pullback, it still takes $141 more per month (+13%) in principal and interest (assuming 20% down) to purchase the average home than 12 months ago

HOME PRICE APPRECIATION VS. 30-YEAR FIXED INTEREST RATE BLACK KNIGHT HOME PRICE INDEX







MORTGAGE MONITOR

NOVEMBER 2018 | 15


» Home price growth has slowed in 33 states and 71 of the nation’s 100 largest markets

» The annual rate of appreciation in California has slowed from over 10% as recently as February to less than 5% as of October, falling below the national average for the first time since the housing recovery began

» Washington’s decline has been similar, though it remains above the national average; appreciation there fell from 12.4% annually in February to just 7.5% as of October

DECLINE IN ANNUAL HOME PRICE APPRECIATION RATE(FEBRUARY 2018 – OCTOBER 2018)

VA-0.6%

RI-3.1 %

NH-1 .0%

NC-0.4%

MA-2.1 %CT

-0.8%

AZ-0.1 %

CA-5.3%

CO-2.0%

DC-0.3%

FL-1 .2%

IL-1 .6%

KS-0.2% KY

-0.6%

LA-2.4%

ME-0.1 %

MI-2.0%

MN-0.9%

MO-1 .5%

MT-2.9%

NE-0.7%

NM-0.5%

NV-1 .3%

OH-0.2%

OR-2.1 %

SC-0.3%

TN-1 .3%

TX-0.5%

UT-0.3%

WA-4.9%

While home price slowing has been observed across the majority of the country, western states – led by California – are seeing the most deceleration

DECLINE IN ANNUAL HOME PRICE APPRECIATION RATE(FEBRUARY 2018 – OCTOBER 2018)





MORTGAGE MONITOR

NOVEMBER 2018 | 16


» Nevada, Idaho and Utah now have the highest rates of appreciation of any states

» Home prices in each of those states are now up by 10% or more from one year ago

» The majority of states (26) have seen home price growth of between 5-8% from one year ago

ANNUAL HOME PRICE APPRECIATION RATE(AS OF OCTOBER 2018)

NC+5.8%

ID+12.7%

NV+13.1 %

UT+10.5%

CA+4.9%

CO+7.5%

AL+6.2%

DE+2.8%

FL+5.9%

GA+7.4%

IA+4.5%

CT+1 .5%

IL+3.0%

IN+6.2%

KS+6.3% KY

+4.7%

LA+0.9%

ME+5.7%

MI+6.6%

MN+6.1 %

MO+4.9%

MS+5.3%

MT+5.6%

ND+2.6%

NE+5.6%

NH+6.1 %

NM+3.6%

AR+3.8%

NY+6.2%

OH+5.5%

OK+2.4%

OR+5.6%

PA+4.4%

SC+5.0%

SD+8.6%

TN+6.2%

TX+4.6%

AZ+7.5%

VA+3.0%

WA+7.5%

WI+6.8%

WY+3.5%

Home price deceleration in the west has caused a noticeable transition from what we’ve been seeing throughout the housing recovery

ANNUAL HOME PRICE APPRECIATION RATE(AS OF OCTOBER 2018)





MORTGAGE MONITOR

NOVEMBER 2018 | 17


» After 77 consecutive months of annual home price growth above the national average, recent deceleration has pushed the growth rate below that average for the first time since early 2012

» Affordability is likely driving much of today's volatility, as California currently ranks as the least affordable state and not just compared to other states, but to its own long-term affordability benchmark as well

» As of October, it took over 6% more of the median California income to make the monthly payments to purchase the average priced home than during long-term benchmark periods (1995-2003)

» With the recent 5.3% decline in the rate of appreciation, California's annual growth now stands at 4.9%, some 0.5% below the national average

» The average home price in California has declined by 1.6% (-$8,800) since peaking in June

» In fact, home prices have declined M/M in each of the past four months after 77 consecutive monthly increases

-30.0%

-20.0%

-10.0%

0.0%

10.0%

20.0%

30.0%

199

2-10

199

3-10

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4-10

199

5-10

199

6-10

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7-10

199

8-10

199

9-10

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2-10

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5-10

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2-10

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3-10

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6-10

201

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201

8-10

ANNUAL RATE OF HOME PRICE APPRECIATIONCALIFORNIA VS. NATIONAL AVERAGE

California National

California – home to 12% of the nation's population and nearly 14% of all mortgaged properties – is worth keeping an eye on in 2019

ANNUAL RATE OF HOME PRICE APPRECIATIONCALIFORNIA VS. NATIONAL AVERAGE





MORTGAGE MONITOR

NOVEMBER 2018 | 18


» In reviewing market-level data, we see that the deceleration in home prices is widespread across California

» All 10 of the state's largest markets had been appreciating faster than the nation as a whole as recently as February; as of October just three were

» With the current rate of deceleration in San Francisco and San Jose, it may only be a matter of time before that number drops even further

» Home price growth in the Los Angeles, Riverside, San Diego, Sacramento, Fresno, Bakersfield and Oxnard markets has now dropped below the national average

» The growth rates in five of California's 10 largest markets have been cut by more than half over the past eight months, with San Jose slowing even more drastically

5.4%

4.4% 6.

2%

5.1%

3.6% 4.

7%

7.4%

4.6% 5.0%

3.4%

7.7%

0.0%

5.0%

10.0%

15.0%

20.0%

25.0%

National

Average

Los A

ngele

s, CA

San Franc

isco, C

A

Riversi

de, C

A

San D

iego, C

A

Sacram

ento, CA

San Jo

se, C

A

Fresno,

CA

Bakersf

ield, C

A

Oxnard, C

A

Stockton

, CA

ANNUAL RATE OF HOME PRICE APPRECIATIONCALIFORNIA'S 10 LARGEST MARKETS

February 2018 October 2018

The greatest slowing is being seen in San Jose, San Francisco, San Diego and Los Angeles

ANNUAL RATE OF HOME PRICE APPRECIATIONCALIFORNIA'S 10 LARGEST MARKETS





MORTGAGE MONITOR

NOVEMBER 2018 | 19

© 2018 - Black Knight Inc.: Unauthorized use is strictly prohibited. Based on data believed to be reliable, not guaranteed as to accuracy or completeness.

Nov-18 Monthly Change

YTD Change

Yearly Change

Delinquencies 3.71% 1.78% -13.88% -18.53%

Foreclosure 0.52% -0.22% -21.62% -21.95%

Foreclosure Starts 45,200 -10.67% -27.45% -5.44%

Seriously Delinquent (90+) or in Foreclosure 1.50% 1.03% -26.58% -23.81%

New Originations (data as of Oct-18) 575K 21.0% 3.6% -5.0%

Nov-18 Oct-18 Sep-18 Aug-18 Jul-18 Jun-18 May-18 Apr-18 Mar-18 Feb-18 Jan-18 Dec-17 Nov-17Delinquencies 3.71% 3.64% 3.97% 3.50% 3.61% 3.74% 3.64% 3.67% 3.73% 4.30% 4.31% 4.71% 4.55%

Foreclosure 0.52% 0.52% 0.52% 0.54% 0.57% 0.56% 0.59% 0.61% 0.63% 0.65% 0.66% 0.65% 0.66%

Foreclosure Starts 45,200 50,600 40,000 47,100 48,300 43,500 44,900 49,300 52,100 46,700 62,300 44,500 47,800

Seriously Delinquent (90+) or in Foreclosure 1.50% 1.48% 1.51% 1.52% 1.59% 1.63% 1.70% 1.78% 1.86% 2.01% 2.04% 2.06% 1.97%

New Originations 575K 476K 594K 559K 599K 591K 536K 542K 436K 453K 555K 553K

4.55

%

4.71

%

4.31

%

4.30

%

3.73

%

3.67

%

3.64

%

3.74

%

3.61

%

3.50

%

3.97

%

3.64

%

3.71

%

Nov-17

Dec-17

Jan-1

8

Feb-18

Mar-18

Apr-18

May-18

Jun-1

8Ju

l-18

Aug-18

Sep-18

Oct-18

Nov-18

TOTAL DELINQUENCIES

553K

555K

453K

436K 54

2K

536K

591K

599K

559K

594K

476K 57

5K

Nov-17

Dec-17

Jan-1

8

Feb-18

Mar-18

Apr-18

May-18

Jun-1

8Ju

l-18

Aug-18

Sep-18

Oct-18

NEW ORIGINATIONS

NOVEMBER 2018 DATA SUMMARY

NOVEMBER 2018 APPENDIX





MORTGAGE MONITOR

NOVEMBER 2018 | 20

© 2018 - Black Knight Inc.: Unauthorized use is strictly prohibited. Based on data believed to be reliable, not guaranteed as to accuracy or completeness. Page 1 of 1

Month TOTAL ACTIVE COUNT 30 DAYS 60 DAYS 90+ DAYS FC Total

Non-Current FC Starts Average Days Delinquent for 90+

Average Days Delinquent for FC

Ratio of 90+ to FC

1/31/05 47,706,128 1,197,062 339,920 458,719 276,745 2,272,446 50,922 242 324 165.8%1/31/06 50,900,620 1,242,434 387,907 542,378 258,613 2,431,332 76,477 207 308 209.7%1/31/07 53,900,458 1,425,030 468,441 551,439 393,973 2,838,883 117,419 203 267 140.0%1/31/08 55,478,782 1,743,420 676,266 950,639 813,560 4,183,885 195,033 190 256 116.8%1/31/09 55,788,441 2,001,314 932,436 1,878,981 1,321,029 6,133,760 250,621 193 323 142.2%1/31/10 55,098,009 1,945,589 903,778 2,972,983 2,068,572 7,890,922 292,308 253 418 143.7%1/31/11 53,861,778 1,750,601 746,634 2,078,130 2,245,250 6,820,615 277,374 333 527 92.6%1/31/12 52,687,781 1,592,463 652,524 1,796,698 2,205,818 6,247,503 223,394 395 666 81.5%1/31/13 51,229,692 1,464,583 587,661 1,551,415 1,742,689 5,346,348 156,654 460 803 89.0%1/31/14 50,380,779 1,341,074 529,524 1,278,955 1,213,046 4,362,599 97,467 486 935 105.4%1/31/15 50,412,744 1,238,453 465,849 1,060,002 884,901 3,649,204 93,280 509 1,031 119.8%1/31/16 50,541,353 1,298,682 444,594 831,284 659,237 3,233,797 71,900 495 1,047 126.1%1/31/17 50,871,357 1,108,712 389,768 663,521 480,598 2,642,599 70,357 454 1,013 138.1%1/31/18 51,155,753 1,083,162 412,676 706,623 336,613 2,539,074 62,312 364 932 209.9%2/28/18 51,154,575 1,114,486 386,518 696,802 330,505 2,528,312 46,720 367 930 210.8%3/31/18 51,282,283 942,600 336,892 632,157 320,686 2,232,335 52,094 388 928 197.1%4/30/18 51,378,198 960,902 325,538 598,191 314,016 2,198,647 49,280 395 929 190.5%5/31/18 51,338,774 970,417 328,860 568,110 303,412 2,170,799 44,866 401 937 187.2%6/30/18 51,520,891 1,040,477 335,991 548,366 290,744 2,215,577 43,454 404 935 188.6%7/31/18 51,545,452 991,310 342,054 527,919 292,999 2,154,282 48,263 406 925 180.2%8/31/18 51,607,496 967,665 335,317 505,598 280,660 2,089,240 47,081 417 912 180.1%9/30/18 51,636,125 1,170,068 366,120 512,681 268,332 2,317,201 40,001 399 905 191.1%

10/31/18 51,721,408 1,024,613 360,394 499,187 267,333 2,151,527 50,561 405 888 186.7%11/30/18 51,915,782 1,052,178 363,183 509,568 267,745 2,192,673 45,153 397 859 190.3%

LOAN COUNTS AND AVERAGE DAYS DELINQUENT






MORTGAGE MONITOR

NOVEMBER 2018 | 21

State Del % FC % NC %Year/Year Change in

NC%State Del % FC % NC %

Year/Year Change in

NC%State Del % FC % NC %

Year/Year Change in

NC%National 3.7% 0.5% 4.2% -19.0% National 3.7% 0.5% 4.2% -19.0% National 3.7% 0.5% 4.2% -19.0%MS 9.5% 0.7% 10.2% -6.3% OH* 4.3% 0.8% 5.1% -9.2% NH 3.3% 0.3% 3.6% -13.0%LA 7.0% 0.9% 7.9% -15.5% TX 4.6% 0.4% 4.9% -31.1% WY 3.2% 0.4% 3.5% -10.1%AL 6.4% 0.4% 6.8% -8.7% NC 4.6% 0.3% 4.9% -2.7% VA 3.3% 0.2% 3.5% -10.1%AR 6.0% 0.5% 6.6% 1.1% KY* 4.1% 0.7% 4.8% -3.9% NV 2.8% 0.6% 3.4% -16.9%WV 5.8% 0.6% 6.5% -10.2% KS* 4.3% 0.4% 4.8% -6.4% AK 2.6% 0.4% 3.0% -12.4%IN* 5.1% 0.8% 5.9% -9.3% NJ* 3.8% 0.9% 4.7% -23.8% AZ 2.7% 0.2% 2.9% -9.9%OK* 4.8% 0.9% 5.7% -9.2% FL* 3.8% 0.9% 4.7% -53.8% DC 2.3% 0.6% 2.9% -24.1%ME* 4.3% 1.4% 5.7% -11.2% NM* 3.7% 0.9% 4.6% -13.3% SD* 2.4% 0.4% 2.8% -1.8%RI 4.8% 0.8% 5.6% -11.5% VT* 3.5% 1.0% 4.5% -8.7% MN 2.5% 0.2% 2.8% 4.2%PA* 4.8% 0.7% 5.5% -13.3% MO 4.2% 0.3% 4.5% -5.2% MT 2.4% 0.4% 2.7% 3.4%SC* 4.9% 0.6% 5.5% -6.8% HI* 3.0% 1.5% 4.5% -11.2% UT 2.5% 0.2% 2.7% -13.6%GA 5.0% 0.3% 5.4% -13.7% IL* 3.7% 0.7% 4.4% -10.8% ND* 2.0% 0.6% 2.7% 14.5%CT* 4.4% 0.9% 5.3% -11.0% IA* 3.8% 0.6% 4.3% 6.8% ID 2.3% 0.3% 2.6% -6.0%DE* 4.4% 0.8% 5.2% -12.8% MA 3.5% 0.5% 4.0% -16.6% CA 2.2% 0.2% 2.4% -17.6%TN 4.9% 0.3% 5.1% -10.3% WI* 3.5% 0.5% 4.0% -6.6% WA 2.0% 0.3% 2.3% -14.0%NY* 3.7% 1.5% 5.1% -19.7% MI 3.7% 0.2% 3.9% -13.9% OR 1.9% 0.3% 2.3% -9.6%MD* 4.5% 0.6% 5.1% -12.1% NE* 3.6% 0.3% 3.8% 5.8% CO 1.8% 0.1% 1.9% -11.1%

* - Indicates Judicial State

STATE-BY-STATE RANKINGS BY NON-CURRENT LOAN POPULATION






MORTGAGE MONITOR

NOVEMBER 2018 | 22

http://www.blackknightinc.com/wp-content/uploads/2018/09/BKI_MM-Disclosures.pdf

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NOVEMBER 2018 DISCLOSURE





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Documents

MORTGAGE MONITOR - Black Knight, Inc. · November’s 10-year low in mortgage prepayment activity. As refinance incentive continues to decline, 2018 has become the most purchase-dominant